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	This tutorial implements a strategy that trades stocks with low expected idiosyncratic skewness based on a paper by Boyer, Mitton and Vorkink (2009, hereafter BMV) published in The Review of Financial Studies. Our implementation narrows down our initial universe to liquid assets by selecting 200 stocks based on daily trading volume, price and whether the stock has fundamental data in our data library. We calculate the expected idiosyncratic skewness at the end of each month and sort our universe based on the calculated skewness. This implementation will long the bottom 5%, hold for the next month, and rebalance the portfolio monthly. The Sharpe ratio is 1.03 relative to S&P 500 (SPY) Sharpe ratio of 1.00 during the period of July 1, 2009 to July 30, 2019.
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